Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0818
Annualized Std Dev 0.3007
Annualized Sharpe (Rf=0%) 0.2721

Row

Daily Return Statistics

Close
Observations 3057.0000
NAs 1.0000
Minimum -0.1334
Quartile 1 -0.0090
Median 0.0001
Arithmetic Mean 0.0005
Geometric Mean 0.0003
Quartile 3 0.0099
Maximum 0.1338
SE Mean 0.0003
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0012
Variance 0.0004
Stdev 0.0189
Skewness -0.0284
Kurtosis 5.5182

Downside Risk

Close
Semi Deviation 0.0134
Gain Deviation 0.0136
Loss Deviation 0.0135
Downside Deviation (MAR=210%) 0.0179
Downside Deviation (Rf=0%) 0.0131
Downside Deviation (0%) 0.0131
Maximum Drawdown 0.6946
Historical VaR (95%) -0.0285
Historical ES (95%) -0.0439
Modified VaR (95%) -0.0287
Modified ES (95%) -0.0452
From Trough To Depth Length To Trough Recovery
2011-08-02 2020-03-23 NA -0.6946 2425 2174 NA
2010-05-04 2010-05-25 2010-07-13 -0.1898 49 16 33
2010-11-11 2011-01-21 2011-04-20 -0.1844 111 49 62
2009-01-30 2009-03-02 2009-03-23 -0.1809 35 21 14
2009-06-08 2009-06-23 2009-07-20 -0.1615 30 12 18

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 -6.3 -0.1 3.2 1.9 9 2.6 2.5 -1.3 -0.8 -4 1.8 -0.5 7.3
2010 1.2 1.1 3.2 -0.8 -0.6 0.4 0.6 3.8 1.6 0 4.6 0.6 16.7
2011 2.9 -1 1.5 1.5 -1.2 2.2 1.2 0 -5.4 -3.5 -0.4 0.1 -2.5
2012 2.3 0.2 1.6 0.9 -1.5 4.3 -0.7 1.7 0.3 1 -0.9 1.3 10.9
2013 2.1 0.9 -1.3 -1.1 -3.4 -0.1 1.7 2.7 4.8 -1.7 -0.6 1.5 5.5
2014 -0.3 -1 2.8 0.7 -3.3 0.7 1 -0.8 -1.2 0.8 -0.2 0.1 -0.8
2015 -2.8 -1 0.4 0.6 -1.2 0 2.3 -2.8 -0.2 -0.5 2.8 -0.1 -2.7
2016 -0.5 2 0.7 -0.7 0.1 -0.1 1.3 -0.7 -0.5 -1.3 0.2 -1.2 -0.8
2017 0 0.4 -0.5 0.2 1.2 0 0 0.6 1.4 0.6 -0.3 0.5 4.1
2018 -1.1 -0.3 1.9 -1.2 1 3 1.9 0.2 -0.5 3.3 -1.6 -0.1 6.6
2019 -0.7 0.4 0.9 -0.9 3.3 1.8 -1.7 0.7 -0.9 1.4 -1.1 0.5 3.4
2020 -3.3 -0.5 -6.5 -4.3 3.2 1.1 -0.2 0.5 2.3 -1 2.5 0.2 -6.2
2021 4.5 3.5 2.1 NA NA NA NA NA NA NA NA NA 10.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2009-01-20  7.88 SPY    80.6 -0.0528  -0.0734  -0.114   -0.136    -0.390   -0.370   -0.295 GLD    84.5  0.0219  0.0466 
2 2009-01-22  8.02 SPY    82.8 -0.0155  -0.0192  -0.0617  -0.137    -0.382   -0.343   -0.281 GLD    84.6  0.0051  0.06   
3 2009-01-23  8.28 SPY    83.1  0.0044  -0.0153  -0.0454  -0.0831   -0.384   -0.343   -0.276 GLD    88.5  0.0467  0.101  
4 2009-01-26  8.49 SPY    83.7  0.0069  -0.0162  -0.0288  -0.0874   -0.371   -0.339   -0.269 GLD    89.0  0.0047  0.0754 
5 2009-01-30  7.96 SPY    82.8 -0.0203  -0.0034  -0.069   -0.110    -0.397   -0.355   -0.270 GLD    91.3  0.0202  0.0314 
6 2009-02-02  7.76 SPY    82.6 -0.003   -0.0131  -0.0849  -0.142    -0.408   -0.352   -0.272 GLD    88.8 -0.0271 -0.00120
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart